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These are actually returning inbound connections that were originally started by your computer to the dns servers - this is why this is allowed by the router as the router has seen the initial connections were started by your own computer and just sees these connections from the dns servers as returned connections.
Basically anyways - a little more is involved but that is a distilled answer.

Hmmm first of all, I suspect the virginmedia's dns servers are not entered as Trusted into the Zones of the Firewall of the Zone Alarm. This is part of the problem as to why these connections are blocked by the ZA - which they should not.